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From "Thomas Neidhart (JIRA)" <>
Subject [jira] [Updated] (MATH-485) Feature Request: Kalman Filter
Date Mon, 13 Jun 2011 22:45:47 GMT


Thomas Neidhart updated MATH-485:

    Attachment: MATH-485-cleanup.patch

Thanks for already committing the patch ;-).

I have worked on the comments from Luc and provided a cleanup patch that corrects the following:

 * added missing javadoc comments
 * fixed checkstyle errors (ignoring method extension warnings as I do not know exactly how
or if to resolve them)
 * added package.html
 * processNoise and measurementNoise are now correctly retrieved from the respective models
every predict/correct step

@time-dependant noises:

I think this makes perfect sense, but I was unsure how to solve this in an optimal way. By
now, one could create a specific ProcessModel implementation that returns the "right" process
noise at the correct time-step. For a more general case, one would also need the mentioned
integer parameter in the predict/correct methods, or do you think about keeping track of the
iteration internally in the Kalman filter?

> Feature Request: Kalman Filter
> ------------------------------
>                 Key: MATH-485
>                 URL:
>             Project: Commons Math
>          Issue Type: Wish
>            Reporter: Benjamin McCann
>             Fix For: 3.0
>         Attachments:, MATH-485-cleanup.patch, MATH-485-update1.patch,
> I'd love it if Commons Math could add support for the Kalman filter.  Here are a few
implementations that might be able to be used for reference or included if they're using compatible

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